Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0031
Annualized Std Dev 0.3223
Annualized Sharpe (Rf=0%) -0.0096

Row

Daily Return Statistics

Close
Observations 4464.0000
NAs 1.0000
Minimum -0.2960
Quartile 1 -0.0051
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0064
Maximum 0.4063
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0008
Variance 0.0004
Stdev 0.0203
Skewness 1.3953
Kurtosis 69.0725

Downside Risk

Close
Semi Deviation 0.0143
Gain Deviation 0.0172
Loss Deviation 0.0179
Downside Deviation (MAR=210%) 0.0181
Downside Deviation (Rf=0%) 0.0142
Downside Deviation (0%) 0.0142
Maximum Drawdown 0.9081
Historical VaR (95%) -0.0239
Historical ES (95%) -0.0484
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-02-09 2009-03-09 NA -0.9081 3553 523 NA
2004-04-02 2004-05-10 2004-12-10 -0.2301 175 26 149
2004-12-13 2005-03-23 2005-07-05 -0.1122 141 70 71
2005-07-13 2005-11-16 2006-03-09 -0.1118 166 90 76
2006-03-17 2006-04-17 2006-08-03 -0.0812 97 21 76

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA 0 -0.1 0.4 1 0.2 0.2 0.1 1.8
2004 2 0.4 0.9 0.4 0.9 2 1.7 0.3 0.8 -0.1 0.6 0.3 10.6
2005 0.8 1.2 0.6 0 1.1 0.7 -0.2 1.2 1.1 -0.4 1.3 -0.1 7.6
2006 0.1 0 0.5 0.4 0.4 0.4 -0.4 0.3 0.4 0 0.5 0.4 3
2007 0.4 0.9 0 0 0.3 -0.1 -0.6 2.2 1.4 -1.3 1.2 -0.3 4.1
2008 5 -2.4 5.2 1.9 0 1 1 1.1 6.1 4.6 -11.1 8.4 21.1
2009 -4.9 -4.4 3.4 -3.7 7.3 2.8 0.9 -4.8 -2.9 -4.2 0.9 -1.8 -11.8
2010 1.6 0.8 1.4 -2.2 -1.8 -0.6 0.2 3 0.8 1.3 1.5 0.4 6.6
2011 2 -0.9 1.5 1 -1.5 2.8 1.6 -0.5 -2.2 -0.6 -0.5 0.4 3.1
2012 1.4 0.4 1.9 0.4 -1.5 2.9 1.2 0.2 -0.1 1.5 -0.7 1.7 9.6
2013 0.1 -0.1 -0.5 0.3 -3.3 0.4 -0.8 0.2 1.5 0.7 -0.3 0.7 -1
2014 0.2 0.5 0.5 0.3 0.6 0.1 0 0.3 0.2 -0.1 -0.2 -0.5 1.9
2015 -1 0.4 0 0.4 0.8 0.7 1.1 -0.9 -0.2 -0.4 1.3 0.5 2.8
2016 1 1.6 0.1 -0.7 -0.1 0.7 0 -0.4 -0.2 -1.5 -1.2 1.4 0.5
2017 -0.6 -0.1 0.8 0.7 0.5 0.7 0 1.2 0.8 0 0 2.9 7
2018 -1.8 0 0.8 0.5 0.3 -0.2 0.7 0.2 0.1 0.4 1 2.5 4.6
2019 0.2 0 -0.3 1 0.7 0.3 0.4 1.2 -2 0.6 1.2 0.8 4
2020 -0.2 -2.5 -8.4 -2.7 3 1.8 0.3 0.4 1.8 -0.6 0.5 0.8 -6.1
2021 0.5 0 0.9 NA NA NA NA NA NA NA NA NA 1.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-06-25  25.0 SPY    97.5 -1.00e-2  -0.0398   0.0223    0.12  -3.00e-4   -0.343       NA <NA>     NA    NA       NA
2 2003-06-26  25.1 SPY    98.8  1.30e-2  -0.0122   0.0327    0.134  1.11e-2   -0.332       NA <NA>     NA    NA       NA
3 2003-06-27  25.1 SPY    97.7 -1.15e-2  -0.0179   0.0235    0.126 -1.78e-2   -0.339       NA <NA>     NA    NA       NA
4 2003-06-30  25.0 SPY    97.6 -3.00e-4  -0.008    0.007     0.152 -1.34e-2   -0.330       NA <NA>     NA    NA       NA
5 2003-07-01  25.1 SPY    98.5  9.20e-3   0.0001   0.0121    0.145  1.55e-2   -0.318       NA <NA>     NA    NA       NA
6 2003-07-02  25.0 SPY    99.8  1.26e-2   0.023    0.0207    0.132  5.05e-2   -0.318       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart